Q : "What are the drawbacks of creating multiple contexts ... ?"
Resources consumed. Nothing else. The more Context()-instances one produces, the more memory-allocated & the more overhead-time was spent on doing that.
One-time add-on costs may represent a drawback - some people forget about the Amdahl's Law (and forget to account for setup & termination add-on costs there) where small amounts of "useful"-work may start to be expensive right due to the (for some, ... it may surprise how often & how many ... hidden) add-on costs in attempts to distribute/parallelise some part of the application workloads, yet need not bother you, if not entering low-latency or ultra-low latency domains. Run-time add-on overheads ( to maintain each of the Context()-instances internal work - yes, it works in the background, so it consumes some CPU-clocks even when doing nothing ) may start doing troubles, when numbers of semi-persistent instances grow higher ( also depends on CPU-microarchitecture & O/S & soft-real-time needs, if present )
Q : "What ... use cases are there for doing so?"
When good software architect designs the code for ultimate performance and tries to shave-off the last few nanoseconds, there we go.
Using well thought & smart-crafted specialised-Context()-engines, the resulting ZeroMQ performance may grow to almost the CPU/memory-I/O based limits. One may like to read more on relative-prioritisation, CPU-core-mappings and other high-performance tricks on doing this, in my evangelisations of ZeroMQ design-principles.
Q : "Does this mean that it's just not as efficient to use multiple contexts, but it would still work?"
The part "it would still work" is easier - it would, if not violating the O/S maximum number of threads permitted and if there is still RAM available to store the actual flow of the messages intended for out-of-platform delivery, which uses additional, O/S-specific, buffers - yes, additional SpaceDOMAIN and TimeDOMAIN add-on latency & latency jitter costs start to appear in doing that.
The Zero-Copy inproc:// TransportClass is capable of actually doing a pure in-memory flag-signalling of memory-mapped Zero-Copy message-data, that never moves. In specific cases, there can be zero-I/O-threads Context()-instances for such inproc://-only low-latency data-"flow" models, as the data is Zero-Copied and never "flow" ;o) ).
Q : "Why does ZeroMQ recommend..."
Well, this seems to be a part of the initial Pieter HINTJENS' & Martin SUSRIK's evangelisation of Zero-Sharing, Zero-blocking designs. That was an almost devilish anti-pattern to the Herd of Nerds, who lock/unlock "shared" resources and were suddenly put to a straight opposite ZeroMQ philosophy of designing smart behaviours (without a need to see under the hood).
The art of the Zen-of-Zero - never share, never block, never copy (if not in a need to do so) was astoundingly astonishing to Nerds, who could not initially realise the advantages thereof (as they were for decades typing in code that was hard to read, hard to rewrite, hard to debug, right due to the heaps of sharing-, locking- and blocking-introduced sections and that they/we were "proud-off" to be the Nerds, who "can", where not all our colleagues were able to decode/understand the less improve).
The "central", able to be globally shared Context()-instance was a sign of light for those, who started to read, learn and use the new paradigm.
After 12+ years this may seem arcane, yet the art of the Zen-of-Zero started with this pain (and a risk of an industry-wide "cultural", not a technical, rejection).
Until today, this was a brave step from both Pieter HINTJENS & Martin SUSTRIK.
Ultimate ~Respect!~ to the whole work they together undertook... for our learning their insights & chances to re-use them in BAU... without an eye-blink.
Great minds.
